5343金融与交易简单数值题short
Kelly Fraction With Two Loss Sizes
题目
A repeatable trade stakes a fraction f of capital each round. With probability 0.50 the staked amount gains 100%, with probability 0.30 it loses 50%, and with probability 0.20 it loses 100%. Ignoring leverage caps, what full-Kelly fraction f maximizes expected log growth?
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